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Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu - 2015

We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...

Persistent link: https://www.econbiz.de/10013020665

Regime-Switching Global Vector Autoregressive Models

Binder, Michael - 2013

The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...

Persistent link: https://www.econbiz.de/10013078535

Fiscal Regimes in the EU

Afonso, António - 2013

We assess the existence of fiscal regime shifts in the U.K., Germany, and Italy, using Markov switching fiscal rules. On the basis of a newly built quarterly data set, our results show the existence of fiscal regimes shifts, sometimes coupled with regime switches also regarding monetary...

Persistent link: https://www.econbiz.de/10013084529

Modelling loans to non-financial corporations in the euro area

Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - 2009

, investment and loan supply equations. The short-run dynamics of loan demand for the euro area are subsequently modelled by means …

Persistent link: https://www.econbiz.de/10011605035

Non-linear dynamics in the euro area demand for M1

Calza, Alessandro; Zaghini, Andrea - 2006

This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is firstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there...

Persistent link: https://www.econbiz.de/10011604638

A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth

Beyer, Andreas - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10011605157

A Stable Model for Euro Area Money Demand : Revisiting the Role of Wealth

Beyer, Andreas - 2009

Persistent link: https://www.econbiz.de/10013155103

A Cointegration Model of Money and Wealth

Assenmacher, Katrin - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012844181

Non-Linear Dynamics in the Euro Area Demand for M1

Calza, Alessandro; Zaghini, Andrea - 2021

Persistent link: https://www.econbiz.de/10013317661

Cointegration in Panel Data with Breaks and Cross-Section Dependence

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2021

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …

Persistent link: https://www.econbiz.de/10013317662